Pellegrino said: "I think we gave them the possibility to react. We played five steps deeper, without the confidence to go forward and try to score the second goal.
"Obviously we let them into the game with the first goal and the second goal was a knock for our players. We couldn't react after that.
"I don't know if it's the pressure or the lack of confidence, but we had to read the game much better. Especially with the weather and the pitch it was difficult, but sometimes you have to clear the ball and not give them the possibility.
"The lack of confidence is the worst thing that we have – the small things are really big for us when you are a little bit down.
"It's part of our job and part of football, with one winner and one loser. We have to react, use our best character to be better and realise that we are in a difficult situation."